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Job Overview

Quantitative Analyst - R, Credit Derivatives, CDS

Location: City of London, London Salary: £700pd - £80pd + PAYE
Type: Contract Contact: Dneshai Bailey
Posted: about 2 months ago

A well known financial institution is looking for a quantitative analyst with some business analyst skills to join their team in London.

The role will be to help with the development and implementation of risk model changes to accommodate for new products. The team's risk model framework covers mainly market risk on all risk factors of the European and American / index and single name CDS products as well as Credit Index Options.

The individual will be involved in enhancing the existing risk model; recommend methodology changes based on quantitative analysis; write business requirements and design corresponding unit test cases for the risk changes; assist in testing the changes to the reference and market data systems, and provide general support to the test team for risk related issues.

Requirements:

  • Master's degree (or equivalent) of a computer science or mathematical bias;
  • Experience in a risk management environment within an investment bank or similar;
  • Strong R knowledge
  • Advanced Excel user / VBA Macros
  • Exposure to object programming such a C++ or Java would be appreciated;
  • Knowledge of financial products pricing
  • Knowledge of Credit Derivatives, specifically CDS
  • Sound analytical, numerical and problem solving skills, with good attention to details;

If you are interested in this role, please apply below or contact me for more information.

Eames Consulting is acting as an Employment Business in relation to this vacancy.